Texas-based SciComp has developed SciMC, a software product for automatically transforming brief specifications into executable C code for Monte Carlo derivative models.
SciMC combines SciComp's intelligent software synthesis technology with Monte Carlo techniques to automatically generate C code without manual programming. The software provides extremely fast and flexible Monte Carlo simulation codes, reducing programming and modeling time for derivative model development, claims the company.
Elaine Kant, president of SciComp, says: "We've found that the codes can run up to 100 times faster than other simulations and solve problems that are beyond library codes and general Monte Carlo engines." SciMC handles sophisticated mathematical and financial features including exotic path dependencies, jumps, high dimensionality, deterministic sequences, choice of variance reduction techniques, and American or Bermudan exercise.
This article appeared online at Finextra.com.